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Stochastic Differential Equations

An Introduction with Applications

Produktform: E-Buch Text Elektronisches Buch in proprietärem

From the reviews to the first edition: Most of the literature about stochastic differential equations seems to place so much emphasis on rigor and completeness that it scares the nonexperts away. These notes are an attempt to approach the subject from the nonexpert point of view.: Not knowing anything ... about a subject to start with, what would I like to know first of all. My answer would be: 1) In what situations does the subject arise ? 2) What are its essential features? 3) What are the applications and the connections to other fields?" The author, a lucid mind with a fine pedagocical instinct, has written a splendid text that achieves his aims set forward above. He starts out by stating six problems in the introduction in which stochastic differential equations play an essential role in the solution. Then, while developing stochastic calculus, he frequently returns to these problems and variants thereof and to many other problems to show how thetheory works and to motivate the next step in the theoretical development. Needless to say, he restricts himself to stochastic integration with respectto Brownian motion. He is not hesitant to give some basic results without proof in order to leave room for "some more basic applications"... It can be an ideal text for a graduate course, but it is also recommended to analysts (in particular, those working in differential equations and deterministic dynamical systems and control) who wish to learn quickly what stochastic differential equations are all about. From: Acta Scientiarum Mathematicarum, Tom 50, 3-4, 1986weiterlesen

Dieser Artikel gehört zu den folgenden Serien

Elektronisches Format: PDF

Sprache(n): Englisch

ISBN: 978-3-662-02847-6 / 978-3662028476 / 9783662028476

Verlag: Springer Berlin

Erscheinungsdatum: 17.04.2013

Seiten: 228

Auflage: 3

Autor(en): Bernt Oksendal

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